Re: matrix inverse

Posted by Klaus Spanderen on
URL: http://quantlib.414.s1.nabble.com/matrix-inverse-tp599p600.html

Hi JJ

the following code calculates the inverse of a square matrix using boost/
quantlib.

cheers
  Klaus


#include <boost/numeric/ublas/vector.hpp>
#include <boost/numeric/ublas/vector_proxy.hpp>
#include <boost/numeric/ublas/matrix.hpp>
#include <boost/numeric/ublas/triangular.hpp>
#include <boost/numeric/ublas/lu.hpp>

#include <ql/Math/matrix.hpp>

namespace QuantLib {

    Disposable<Matrix> inverse(const Matrix& m) {
        QL_REQUIRE(m.rows() == m.columns(), "matrix is not square");

        boost::numeric::ublas::matrix<Real> a(m.rows(), m.columns());
        std::copy(m.begin(), m.end(), a.data().begin());

        boost::numeric::ublas::permutation_matrix<Size> pert(m.rows());
       
        // lu decomposition
        const Size singular = lu_factorize(a, pert);
        QL_REQUIRE(singular == 0, "singular matrix given");
       
        boost::numeric::ublas::matrix<Real>
            inverse = boost::numeric::ublas::identity_matrix<Real>(m.rows());
       
        // backsubstitution
        boost::numeric::ublas::lu_substitute(a, pert, inverse);

        Matrix retVal(m.rows(), m.columns());
        std::copy(inverse.data().begin(), inverse.data().end(),
                  retVal.begin());

        return retVal;
    }
}

On Monday 12 February 2007 1:22 am, AAA BBB wrote:

> Hi,
> Can someone show me how to get the inverse of a square matrix using
> quantilb ? example piece of code would be really nice ; )
>
> Thanks much.
>
> JJ
>
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